The International Derivatives Exchange

The International Derivatives Exchange

July 2008

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Risk Statement

This presentation is for information purposes only and shall not constitute investment advice respectively does not constitute an offer, solicitation or recommendation to acquire or dispose of any investment or to engage in any other transaction. This presentation is not intended for solicitation purposes but only for use as general information. All descriptions, examples and calculations contained in this publication are for illustrative purposes only.

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Eurex Product PortfolioInterest Rate

Futures & Options on Benchmark 2yr, 5yr, 10yr and 30yr European Government Bonds

Futures on Swiss Confederation Government Bonds - CONF Futures

Futures on one month and 3 month EURIBOR and Options on the 3 month EURIBOR futures

Equity Index

Futures & Options on European benchmark equity indexes

Futures & Options on European benchmark sector equity indexes

Futures & Options on German benchmark equity indexes

Futures & Options on Swiss benchmark equity indexes

Futures & Options on Finish benchmark equity indexes

Equity Index

Austrian Equity Futures & Options

Italian Equity Futures & Options

Belgian Equity Futures

Norwegian Equity Futures

British Equity Futures

Portuguese Equity Futures

Dutch Equity Futures & Options

Russian Equity Futures & Options

Finnish Equity Futures & Options

Spanish Equity Futures & Options

French Equity Futures & Options

Swedish Equity Futures & Options

German Equity Futures & Options

Swiss Equity Futures & Options

Greek Equity Futures

U.S. Equity Options

Irish Equity Futures

Other Asset Classes

Volatility Index Futures

Exchange Traded Fund Futures & Options

Credit Futures

Emission Futures

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Interest Rate

Futures & Options on Benchmark 2yr, 5yr, 10yr and 30yr European Government Bonds - Euro-Schatz, Euro-Bobl, Euro-Bund, Euro-Buxl

Futures on Swiss Confederation Government Bonds - CONF Futures

Futures on one month and 3 month EURIBOR and Options on the 3 month EURIBOR futures

Equity Index

Futures on the DAX® and MDAX®

Futures on the Dow Jones EURO STOXX 50® Index, Dow Jones EURO STOXX® Banks Index

Futures on the Dow Jones STOXX 50® Index, Dow Jones STOXX® 600 Banks Index, Dow Jones STOXX® 600 Index, Dow Jones STOXX® Mid 200 Index

Futures on the Dow Jones Global Titans 50 Index

Futures on the Dow Jones STOXX® Large 200 Index, Dow Jones STOXX® Small 200 Index, 7 Additional Dow Jones STOXX® 600 Sector Index

Futures on the RDXxt® USD - RDX Extended Index

Other Asset Classes

Emission Futures: EUA futures, Options on EUA Futures, CER Futures

In Approval Process

Futures on the SLI® Swiss Leader Index, SMIM Swiss Market Index Midcap

Futures on the DJ EURO STOXX® Select Dividend 30 Index

Futures on the VDAX-New® Futures

•CFTC Approved Products

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•Eurex Products in relation to U.S. Index Futures

Eurex

Products

U.S. Index Futures

S&P 500 E-Mini Future

(ESA)

S&P 500 Future (SPM8)

Nasdaq 100 E-mini

Future (NQA)

Nasdaq 100 Future (NDM8)

DJIA Mini (DMM8)

DJIA Index Future (DJM8)

1 DAX® Index Futures (GXA) 3.94 0.79 6.78 1.35 4.37 2.18

1 DJ EURO STOXX 50® (VGA) 0.84 0.17 1.44 0.29 0.93 0.46

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European Market Outlook e-Newsletter●Free weekly e-newsletter

●Produced by CRB (division of Barchart)

●Covers week ahead in European MarketsWhat’s driving marketsEconomic calendar

●Sign up under www.eurexchange.com/myeurexStep 1 – Create accountStep 2 – Confirm by clicking link in e-mail that you receiveStep 3 – Sign up for newsletterIf you sign up after Monday’s e-newsletter is sent out, you will receive first newsletter NEXT week!

http://www.eurexchange.com/myeurex

•7

Product Symbols for Popular Providers

Eurex

Products

Popular Providers

Tradestation Technologies

Interactive Brokers eSignal

Data Transmission

Network CQGTownsend Analytics Bloomberg

DAX® Index Futures FDAX DAX AX XG# F.DD //XFDAXGXA

<CMDTY>

DJ EURO STOXX 50® FESX ESTX50 ET EX# F.DSX /FESXVGA

<CMDTY>

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Contact Information

● www.eurexchange.com/myeurex

● Eurex Chicago office: (312) 544 – 1000

● Stephanie Hammer: [email protected]

(312) 544 – 1090

mailto:[email protected]

•9

Disclaimer© Eurex 2008Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Bonds GmbH (Eurex Bonds), Eurex Repo GmbH (Eurex Repo), Eurex Clearing AG (EurexClearing) and Eurex Frankfurt AG are corporate entities and are registered under German law. Eurex Zürich AG is a corporate entity and is registered under Swiss law.Clearstream Banking S.A. (Clearstream) is a corporate entity and is registered under Luxembourg law. Eurex Frankfurt AG (Eurex) is the administrating and operating institutionof Eurex Deutschland. Eurex Deutschland and Eurex Zürich AG are in the following referred to as the “Eurex Exchanges”.All intellectual property, proprietary and other rights and interests in this publication and the subject matter hereof (other than certain trademarks and service marks listed below)are owned by DBAG and its affiliates and subsidiaries including, without limitation, all patent, registered design, copyright, trademark and service mark rights. While reasonablecare has been taken in the preparation of this publication to provide details that are accurate and not misleading at the time of publication DBAG, Eurex, Eurex Bonds, EurexRepo, the Eurex Exchanges, Eurex Clearing and Clearstream and their respective servants and agents (a) do not make any representations or warranties regarding theinformation contained herein, whether express or implied, including without limitation any implied warranty of merchantability or fitness for a particular purpose or any warrantywith respect to the accuracy, correctness, quality, completeness or timeliness of such information, and (b) shall not be responsible or liable for any third party’s use of anyinformation contained herein under any circumstances, including, without limitation, in connection with actual trading or otherwise or for any errors or omissions contained in thispublication.This publication is published for information purposes only and shall not constitute investment advice respectively does not constitute an offer, solicitation or recommendation toacquire or dispose of any investment or to engage in any other transaction. This publication is not intended for solicitation purposes but only for use as general information. Alldescriptions, examples and calculations contained in this publication are for illustrative purposes only.Eurex offers services directly to members of the Eurex exchanges. Those who desire to trade any products available on the Eurex market or who desire to offer and sell anysuch products to others, should consider legal and regulatory requirements of those jurisdictions relevant to them, as well as the risks associated with such products, beforedoing so.Eurex derivatives (other than Dow Jones EURO STOXX 50® Index Futures contracts, Dow Jones STOXX 50® Index Futures contracts, Dow Jones STOXX® 600 Index Futurescontracts, Dow Jones STOXX® Mid 200 Index Futures contracts, Dow Jones EURO STOXX® Banks Sector Futures contracts, Dow Jones STOXX® 600 Banks Sector Futurescontracts, Dow Jones Global Titans 50SM Index Futures contracts, DAX® Futures contracts, MDAX® Futures contracts, and Eurex interest rate derivatives) are currently notavailable for offer, sale or trading in the United States or by United States persons.Trademarks and Service MarksBuxl®, DAX®, Eurex®, Eurex Bonds®, Eurex Repo®, Euro GC Pooling®, Eurex Strategy WizardSM, FDAX®, iNAV®, MDAX®, ODAX®, SDAX®, StatistiX®, TecDAX®, VDAX-NEW®,Xetra® and XTF Exchange Traded Funds® are registered trademarks of DBAG.Xemac® is a registered trademark of Clearstream Banking AG. Vestima® is a registered trademark of Clearstream International S.A.RDXxt® is a registered trademark of Wiener Börse AG (Vienna Stock Exchange).iTraxx® is a registered trademark of International Index Company Limited (IIC) and has been licensed for the use by Eurex. IIC does not approve, endorse or recommend Eurexor iTraxx® Europe 5-year Index Futures, iTraxx® Europe HiVol 5-year Index Futures and iTraxx® Europe Crossover 5-year Index Futures. Eurex is solely responsible for thecreation of the Eurex iTraxx® Credit Futures contracts, their trading and market surveillance. ISDA® neither sponsors nor endorses the product’s use. ISDA® is a registeredtrademark of the International Swaps and Derivatives Association, Inc.SMI®, SLI®, SMIM® and VSMI® are registered trademarks of SWX Swiss Exchange.STOXX®, Dow Jones STOXX® 600 Index, Dow Jones STOXX® Large 200 Index, Dow Jones STOXX® Mid 200 Index, Dow Jones STOXX® Small 200 Index, Dow JonesSTOXX® TMI Index, VSTOXX® Index, Dow Jones EURO STOXX® Select Dividend 30 Index, Dow Jones EURO STOXX®/STOXX® 600 Sector Indexes as well as the DowJones EURO STOXX 50® Index and Dow Jones STOXX 50® Index are service marks of STOXX Ltd. and/or Dow Jones & Company, Inc.Dow Jones and Dow Jones Global Titans 50SM Index are service marks of Dow Jones & Company, Inc. The derivatives based on these indexes are not sponsored, endorsed,sold or promoted by STOXX Ltd. or Dow Jones & Company, Inc., and neither party makes any representation regarding the advisability of trading or of investing in suchproducts.The names of other companies and third party products may be trademarks or service marks of their respective owners.

10

Identifying Dow Jones EURO STOXX 50® Index Futures Trading Opportunities

with Moving Averages

Prepared and Presented by Daniel Gramza

11

Materials in this presentation are covered under current United States and

international copyright laws.

NO PORTION OF THIS PRESENTATION MAY BE REPRODUCED WITHOUT THE

WRITTEN PERMISSION OF THE AUTHOR.

Daniel Gramza is currently completing two books:

TRADING IN THE EYE OF THE STORM

THE HANDBOOK OF JAPANESE CANDLE TRADING STRATEGIES

You can be notified when these books are available by contacting Daniel Gramza.

Daniel M. Gramza

President

Gramza Capital Management, Inc.

[email protected]

12

Eurex Overview

Mathematical Studies

Price Overlay

Moving Averages

Trading ApplicationsQ&A

AGENDA


13

Eurex Overview


Price Overlay

Moving Averages


AGENDA


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Are the Eurex Equity Indexes

Are you making the most effective use of your trading capital?

Have you diversified your investments beyond US corporate stocks?

Have you diversified your investments beyond the US?

Are you taking direct advantage of the European market movement?

Do you hedge or protect your portfolio from adverse price movement?

right for YOU?


15

Strong Growth in Contract Volume

26 50 70 87 100 117 145248

381454

674

801

1,0151,066

1,250

1,526

1,900

0

200

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000

19911992199319941995199619971998199920002001200220032004200520062007Traded contracts (in millions)

Eurex – The European Derivatives Exchange | Products

+ 25 % compared to Jan-Dec 2006

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• Benchmark equity index

• Tracks the development of the European economy

• Focus on the Euro zone countries that have adopted the Euro as their currency

Austria, Belgium, Finland, France, Germany, Greece,

Ireland, Italy, Luxembourg, the Netherlands,

Portugal and Spain

• Captures approximately 95% of the free float market capitalization of the represented countries

Dow Jones Euro STOXX 50® - Underlying Index

17

• Index of 50 European Blue-chips firms

Companies that are included in the index:Banco Santander, Carrefour, L’Oreal, Nokia, Renault, etc.

Calculated by STOXX Ltd., created in 1998

Dow Jones Euro STOXX 50® - Underlying Index

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Futures Cash Settlement

Dow Jones EURO STOXX 50® Index

Trading hours:

7:50AM – 10:00PM CET 12:50AM – 3:00PM CST

Minimum tick size:

1 index point = €10 / $15.30*

Multiplier:

10

Contract size:

at 4,400 index level = (10) X (€4,400) = €44,000 is approx. $67,320*

Contract months:

The 3 nearest quarterly months of Mar, Jun, Sep, Dec

Expiration:

The 3rd Friday of the maturity month at 12:00PM CET / 5:00AM CST*EUR/USD = 1.5300

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Reasons to trade on Eurex

Trade different time zones

Trading hours are from 12:50 AM CST - 3:00 PM CST. Many moves that begin in Asia and Europe carry over into

similar domestic USA products.

Diversification

New opportunities and product offerings in foreign markets

Decrease market exposure to US Corporate stock market

Large volume

Large open interest

Depth of market

Good movement / volatility


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Access to the European equity and debt markets

Benefit from the leverage effect of futures contracts

Lower transaction costs in futures

Hedge

Take foreign exchange risk Euro-denominated contract

Reasons to trade on Eurex


21

Eurex Overview


Price Overlay

Moving Averages


AGENDA


22

Mathematical Study Applications

The first step in using a mathematical study is to determine what the mathematical study to add to your trading strategy.

YOU WANT

200 Period Mov Aver

Buy

200 Period Mov Aver


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MATHEMATICAL STUDIES

Mathematical studies are techniques that are classified as:

DIRECTIONAL

1. Trend following or

2. Counter trend techniques

There are two general categories of mathematical studies:

1. Price overlay studies

- Moving averages

2. Oscillator studies

- Stochastics

- RSI

- MACD


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MOVING AVERAGES


A moving average represents how a series of prices change over time.

It is typically represented as a line.

25

MOVING AVERAGES


Simple Moving Average

The average price for a specified number of trading periods.

As each new period is added on, the first period is dropped.

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MOVING AVERAGES


For Example: Calculate a 5 period moving average

On Trading Days 1 2 3 4 5

Closing Prices were 1.1 1.2 1.6 0.8 1.9

5-day Average = sum of the last five day's closing prices

of Closing Prices 5

therefore,

5-day Average = 1.1 + 1.2 + 1.6 + 0.8 + 1.9 = 1.32

of Closing Prices 5

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MOVING AVERAGES


At the end of the 6th day, Day 1's price is dropped, and Day 6's price is added:

On Trading Days 1 2 3 4 5

Closing Prices were 1.1 1.2 1.6 0.8 1.9

therefore,

New 5-day Moving Average = 1.2 + 1.6 + 0.8 + 1.9 + 2.1 = 1.52

of Closing Prices 5

6

2.1

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MOVING AVERAGE FEATURES

Most effective in a trending market.


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Have a tendency to lag behind market directional change.

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MOVING AVERAGE FEATURES (Cont’d)

Can whipsaw a trader in a sideways market.


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MOVING AVERAGE APPLICATIONS

As a trend indicator by comparing current prices to longer term moving averages.

Example: Prices must be above the 30-week moving average in order to consider the market in an uptrend.


Uptrend

Downtrend

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MOVING AVERAGE APPLICATIONS (Cont’d)

As a buy and sell indicator.

Example: When two or more moving averages cross.


Sell Signals

Buy Signals

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MOVING AVERAGE APPLICATIONS (Cont’d)As support and resistance reference.

Example: Moving average is a resistance reference for prices below the moving average an a support reference for prices above the moving average.


Resistance

Support

Resistance

35

MOVING AVERAGE PARAMETERS

Moving Average parameters are based on three variables:


1. SensitivityThe number of periods used to calculate a moving average can be changed to increase or decrease its sensitivity.

Typical periods = 5, 8, 13, 21

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5 PERIOD MOVING AVERAGE


5

Simple

37

5 and 15 PERIOD MOVING AVERAGE


5

15

Simple

38

5, 15 and 25 PERIOD MOVING AVERAGE


5 15

25

Simple

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2. Types of Moving Averages


WeightedExponential

SimpleModified

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WEIGHTED MOVING AVERAGE


Weighted

10 Period

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WEIGHTED AND SIMPLE MOVING AVERAGE


Weighted

Simple

10 Period

42

WEIGHTED, SIMPLE AND MODIFIED MOVING AVERAGE


Simple

Weighted

Modified

Weighted

Simple

Modified

10 Period

43


3. Prices Used to Calculate the Moving

Average

Close

Open

High

Low

Midpoint

Average


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OPEN MOVING AVERAGE


OPEN

10 Period

Simple

45

OPEN AND CLOSE MOVING AVERAGE


OPEN

CLOSE

10 Period

Simple

46

OPEN, CLOSE, HIGH AND LOW MOVING AVERAGE


HIGH

OPEN

CLOSE

10 Period

Simple

47

OPEN, CLOSE, HIGH AND LOW MOVING AVERAGE


HIGH

OPEN

CLOSE

LOW

10 Period

Simple

48

Eurex Overview


Price Overlay

Moving Averages


AGENDA


49

EXAMPLES


50Gramza Capital Management, Inc.

57

Eurex Overview


Price Overlay

Moving Averages


AGENDA


58

Identifying Dow Jones EURO STOXX 50® Index Futures Trading Opportunities

with Moving Averages

Prepared and Presented by Daniel Gramza

The International Derivatives Exchange

Documents

Transcript of The International Derivatives Exchange